It looked to me like that bullet was in one of Walt's vital organs, and when the cops were standing over him at the end they were reacting like they would to a corpse, not a wanted criminal.

As for Jesse, whether he gets away depends on whether anybody in the world has any reason to think he's alive. If the cops do find a confession tape they'll assume the Nazis murdered him. Remember, the last time anybody currently alive saw Jesse it was Marie, as he went off with Hank to the place he got killed, and none of his friends have seen him since.

We also don't know what the time delay was between Jesse speeding off and the cops showing up.